Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0146
Annualized Std Dev 0.0437
Annualized Sharpe (Rf=0%) 0.3343

Row

Daily Return Statistics

Close
Observations 3441.0000
NAs 1.0000
Minimum -0.0591
Quartile 1 -0.0011
Median 0.0001
Arithmetic Mean 0.0001
Geometric Mean 0.0001
Quartile 3 0.0013
Maximum 0.0561
SE Mean 0.0000
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0002
Variance 0.0000
Stdev 0.0028
Skewness -0.5376
Kurtosis 114.4619

Downside Risk

Close
Semi Deviation 0.0020
Gain Deviation 0.0021
Loss Deviation 0.0022
Downside Deviation (MAR=210%) 0.0087
Downside Deviation (Rf=0%) 0.0019
Downside Deviation (0%) 0.0019
Maximum Drawdown 0.0777
Historical VaR (95%) -0.0035
Historical ES (95%) -0.0057
Modified VaR (95%) NA
Modified ES (95%) NA
From Trough To Depth Length To Trough Recovery
2008-03-18 2008-10-13 2008-11-05 -0.0777 163 146 17
2016-07-06 2018-10-05 2019-06-25 -0.0672 748 569 179
2008-12-19 2009-06-08 2010-08-11 -0.0595 413 116 297
2012-07-24 2013-09-05 2016-06-27 -0.0463 988 281 707
2010-11-05 2011-02-08 2011-08-04 -0.0447 188 65 123

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA -0.4 0.5 -0.1 0.8 -0.6 0.1 -0.4 0.3 0.3
2008 -0.2 0.8 -1 -0.4 0.2 -0.2 -0.1 0 0.3 -0.4 0.7 -0.5 -0.7
2009 -0.2 0 -0.1 -0.2 -1.1 -0.2 0.3 -0.2 0.2 0.5 0 -0.1 -1.2
2010 -0.2 0 -0.3 0.3 -0.2 -0.2 0.3 -0.4 -0.2 -0.2 -0.8 0.1 -1.7
2011 -0.4 0.1 -0.1 0.1 0.2 -0.5 0.2 0 0.2 0.2 -0.1 0.1 -0.1
2012 -0.2 -0.2 0 -0.2 0.1 -0.1 -0.3 0.1 -0.1 -0.2 0 -0.2 -1.3
2013 -0.2 0 0 -0.1 -0.1 -0.2 -0.4 -0.1 -0.2 -0.3 0 0 -1.5
2014 0.2 -0.1 -0.2 0 -0.1 -0.2 0.2 0.1 0.2 0 0 0.2 0.4
2015 0.3 0.1 -0.1 -0.2 -0.4 -0.3 0.3 0.1 -0.2 0 0 0.6 0.4
2016 -0.3 -0.5 -0.1 0 -0.1 0.1 -0.3 -0.1 -0.1 -0.1 -0.3 0.2 -1.5
2017 -0.3 -0.4 0.1 -0.2 -0.1 -0.1 0 -0.2 -0.1 -0.1 0 0 -1.4
2018 -0.3 0.1 0.1 -0.3 -0.5 -0.1 -0.4 0 -0.3 -0.1 0 0.5 -1.1
2019 -0.6 -0.4 -0.6 -0.2 0.5 -0.3 0.6 0 0 -0.4 0 -0.2 -1.6
2020 0.3 0.8 0 -0.1 -0.1 -0.2 0 0.1 0 -0.1 -0.3 0 0.5
2021 0 0 -0.1 NA NA NA NA NA NA NA NA NA 0

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2007-05-30  26.3 SPY    153.  0.0081   0.007    0.035    0.0891    0.196    0.367    0.420 GLD    64.7 -0.0054   -0.0077
2 2007-06-01  26.2 SPY    154.  0.005    0.02     0.0304   0.111     0.208    0.365    0.44  GLD    66.4  0.0137    0.0261
3 2007-06-08  26.1 SPY    151.  0.013   -0.0197  -0.0008   0.0729    0.200    0.317    0.460 GLD    64.2 -0.0159   -0.0334
4 2007-06-11  26.1 SPY    151.  0.0017  -0.0182   0.0115   0.0731    0.203    0.317    0.464 GLD    64.7  0.0075   -0.0277
5 2007-06-12  26.1 SPY    150. -0.0109  -0.025   -0.008    0.0825    0.194    0.315    0.442 GLD    64.1 -0.00930  -0.0342
6 2007-06-22  26.2 SPY    151. -0.0094  -0.0165  -0.0124   0.0499    0.204    0.323    0.488 GLD    64.8  0.0034   -0.0011
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart